The direction and intensity of China’s monetary policy conduct : A dynamic factor modelling approach
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The direction and intensity of China’s monetary policy conduct : A dynamic factor modelling approach
dp0819.pdf
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China_Monetary_Policy_Stance_Index_Data.xlsx
(Suomen Pankki)
China_Monetary_Policy_Stance_Index_Data_updated_2019Nov.xlsx
(Suomen Pankki)
The recent upgrade of the People’s Bank of China’s monetary policy framework establishes a corridor system of interest rates. As the revamped policy arrangement now features a multiple-instrument mix of liquidity tools and pricing signals, we employ a dynamic factor modelling approach to derive an indicator of China’s monetary policy stance. The approach is based on the notion that comovements in several monetary policy instruments have a common element that can be captured by a single underlying, unobserved component. To clarify and interpret the derived index, we employ a baseline DSGE model that can be solved analytically and allows tracing of the expansionary and contractionary on-and-off phases of Chinese monetary policy.
Tallennettuna:
Ulkoasu |
37 |
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Sarja | BOFIT Discussion Papers, 8/2019 |
Aiheet | |
ISBN |
978-952-323-271-6 |